A B C D E F G H I J K L A. MSCI Europe B....
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A B C D E F G H I J K L A. MSCI Europe B. MSCI Emerging 0.77 Markets 1.00 0.77 0.95 0.97 1.00 0.82 0.83 0.88 0.20 0.76 0.35 0.59 -0.08 -0.35 0.10 -0.29 0.01 0.63 0.18 -0.25 0.22 -0.20 0.11 C. MSCI World D. MSCI EAFE E. MSCI U.S. F. Commodities G. Real Estate H. Gold 0.95 0.82 1.00 0.96 0.97 0.25 0.97 0.83 0.96 1.00 0.88 0.27 0.88 0.76 0.97 0.88 1.00 0.20 0.20 0.35 0.25 0.27 0.20 1.00 0.59 0.63 0.69 0.65 0.70 0.27 0.25 -0.04 0.14 -0.07 0.14 0.18 -0.01 0.40 0.02 0.32 1.00 0.21 0.30 0.12 0.14 I. U.S. Treasuries J. U.S. Investment Grade K. European Government Bonds L. European Investment Grade Corporates 0.69 0.00 -0.31 0.18 -0.27 0.06 0.65 -0.01 -0.34 0.15 -0.29 0.05 0.70 -0.01 -0.27 0.18 -0.24 0.06 0.27 1.00 -0.08 0.18 0.00 -0.01 -0.01 0.25 0.18 -0.35 -0.25 -0.31 -0.34 -0.27 -0.04 -0.01 0.21 1.00 0.67 0.78 0.55 0.10 0.22 0.18 0.15 0.18 0.14 0.40 0.30 0.67 1.00 0.61 0.79 -0.29 -0.20 -0.27 -0.29 -0.24 -0.07 0.02 0.12 0.78 0.61 1.00 0.83 0.01 0.11 0.06 0.05 0.06 0.14 0.32 0.14 0.55 0.79 0.83 1.00 Annualized Volatility 16.6% 20.7% 15.0% 15.4% 15.7% 25.4% 18.9% 16.6 % 5.0 % 6.0 % 3.1% 3.2% Data based on monthly returns in local currencies from January 1999 to February 2009. Commodities, Real Estate, and Gold in US$. Source: MSCI, NAREIT, Barclays Capital, Standard and Poor's. Based only on the information given, address the following: 1. Contrast the correlations between equity asset classes with the correlations between equity asset classes and European government bonds. 2. Which equity asset class is most sharply distinguished from MSCI Europe? A B C D E F G H I J K L A. MSCI Europe B. MSCI Emerging 0.77 Markets 1.00 0.77 0.95 0.97 1.00 0.82 0.83 0.88 0.20 0.76 0.35 0.59 -0.08 -0.35 0.10 -0.29 0.01 0.63 0.18 -0.25 0.22 -0.20 0.11 C. MSCI World D. MSCI EAFE E. MSCI U.S. F. Commodities G. Real Estate H. Gold 0.95 0.82 1.00 0.96 0.97 0.25 0.97 0.83 0.96 1.00 0.88 0.27 0.88 0.76 0.97 0.88 1.00 0.20 0.20 0.35 0.25 0.27 0.20 1.00 0.59 0.63 0.69 0.65 0.70 0.27 0.25 -0.04 0.14 -0.07 0.14 0.18 -0.01 0.40 0.02 0.32 1.00 0.21 0.30 0.12 0.14 I. U.S. Treasuries J. U.S. Investment Grade K. European Government Bonds L. European Investment Grade Corporates 0.69 0.00 -0.31 0.18 -0.27 0.06 0.65 -0.01 -0.34 0.15 -0.29 0.05 0.70 -0.01 -0.27 0.18 -0.24 0.06 0.27 1.00 -0.08 0.18 0.00 -0.01 -0.01 0.25 0.18 -0.35 -0.25 -0.31 -0.34 -0.27 -0.04 -0.01 0.21 1.00 0.67 0.78 0.55 0.10 0.22 0.18 0.15 0.18 0.14 0.40 0.30 0.67 1.00 0.61 0.79 -0.29 -0.20 -0.27 -0.29 -0.24 -0.07 0.02 0.12 0.78 0.61 1.00 0.83 0.01 0.11 0.06 0.05 0.06 0.14 0.32 0.14 0.55 0.79 0.83 1.00 Annualized Volatility 16.6% 20.7% 15.0% 15.4% 15.7% 25.4% 18.9% 16.6 % 5.0 % 6.0 % 3.1% 3.2% Data based on monthly returns in local currencies from January 1999 to February 2009. Commodities, Real Estate, and Gold in US$. Source: MSCI, NAREIT, Barclays Capital, Standard and Poor's. Based only on the information given, address the following: 1. Contrast the correlations between equity asset classes with the correlations between equity asset classes and European government bonds. 2. Which equity asset class is most sharply distinguished from MSCI Europe?
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Related Book For
Understanding Basic Statistics
ISBN: 9781111827021
6th Edition
Authors: Charles Henry Brase, Corrinne Pellillo Brase
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